No Option for Smooth/Flat Shading
If the active object isn't a mesh, curve, or surface these options won't be available (thanks @Carlo).
Right click on an object to make it active. Use &#8679; Shift RMB to make an object active while maintaining the rest of the selection. 

It's somewhat rare that you end up completely without an active object, but it can happen e.g. when switching between layers.